Twofish's Blog

October 16, 2006

Back from NYC and Boston

Filed under: austin, china, quantitative finance — twofish @ 3:02 pm

I have about fifty pages of notes which I’ll begin to transcribe over the next two or three weeks.  What I’d like to do is to scan them into a file and then add a lot of commentary to them.  Overall, I learned a huge amount during the trip, everything from the intricacies of the Swiss mortgage market to the use of warrants in Shanghai.  The trip has given me enough stuff to follow up on for the next three months.

One thing that I did find is how Austin is has a somewhat quicker adoption rate than NYC when it comes to new technology.  In NYC I had difficulty finding a free indoor Wifi spot, whereas in NYC free wifi is everywhere.  When I did find wifi (like in the public parks), getting a wall outlet was difficult, and it occurred to me that indoor businesses in NYC seem to restrict the outlets which might be because NYC is crowded and they don’t want you to stay there forever.  Also, in Austin you can’t go ten feet before you trip over someone who can set up wifi for you, whereas in NYC that didn’t seem to be the case.

Also, I do think that I can be useful if I blog more conferences, and I’ve been thinking about how to do that more effectively.  Right now, I’m using a paper notebook, but it would seem like it would be more effective if I used a Nokia 770.

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August 21, 2006

Revised publications schedule

Filed under: austin, quantitative finance, quantlib, Uncategorized — twofish @ 2:37 am

Now that I mentioned something silly about the corporate world, let me mention something nice I’ve found and that is the wonderful world of project management.  Project management and schedule is one of the core skills that you need to run a good software shop, and seeing good project managers at work, has been very useful for me in doing academic stuff.  Because Austin, Texas has things like Dell and a lot of semiconductor businesses, there is a pretty high standard of project management just like there is a high standard of barbeque.

One important principle of project management is what I call the knapsack principle, if you put something in, you have to take something out.  I had been expecting a week off each month, and now to looks like I won’t have that, and will have to spend some time with testing the waters for a job search.  This means that I had been planning on two papers for the rest of the year, but realistically, I’ll need to schedule for one, by the end of the year.  This will probably be a retrospective on BaoAn steel, tracing changes in the implied volatility with regulatory changes, as well as trying to do a Carr-Wu analysis to see what the dynamics of the underlying process are.

I’m still trying to get a rejection letter from the Chinese Finance Association for I wrote about R-SWIG.  It’s kind of fun to try to be getting someone to reject you, but without a rejection letter, I’m not able to submit the paper to anyone else.  At worst, I’ll hear nothing until the conference in October passes.  Ideally, I’d like to get the paper in some peer reviewed journal, but the trouble is that it is too “computer science-y” for a finance journal and too “finance-y” for a computer science journal.

If all else fails, I’ll post it into arxiv.org or the Willmott research paper forums.  That will get me a publications section in my CV.  People who don’t know any better will be impressed by that, people who *do* know better won’t be impressed by the line in the CV, but hopefully will be impressed by the paper itself.

The paper on Baosteel, will be intended for a finance journal, and one of the things I’m going to have to do is to look through the finance literature to find some similar papers, and use those as a template for the analysis I’m trying to do for that warrant.  My motivations for trying to get something into the finance literature is interesting, in that the main reason that I want to do it is to prove to myself that I can do it.

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